Mortgage Design in an Equilibrium Model of the Housing Market

• 成果类型: Article
• 署名作者: Guren, Adam M.; Krishnamurthy, Arvind; Mcquade, Timothy J.
• 署名单位: Boston University; National Bureau of Economic Research; Stanford University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12963
• 发表日期: 2021
• 页码: 113-168
• 关键词: negative equity; RISK; WEALTH; POLICY; income; debt; redistribution; Heterogeneity; finance

摘要

How can mortgages be redesigned to reduce macrovolatility and default? We address this question using a quantitative equilibrium life-cycle model. Designs with countercyclical payments outperform fixed payments. Among those, designs that front-load payment reductions in recessions outperform those that spread relief over the full term. Front-loading alleviates liquidity constraints when they bind most, reducing default and stimulating housing demand. To illustrate, a fixed-rate mortgage (FRM) with an option to convert to adjustable-rate mortgage, which front-loads payment reductions relative to an FRM with an option to refinance underwater, reduces price and consumption declines six times as much and default three times as much.